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Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence

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  • Jondeau, E.
  • Rockinger, M.

Abstract

Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional generalized-t distribution for residuals. We compute the skewness and kurtosis for this model and compare the range of these moments with the maximal theoretical moments. Our model thus allows for time-varying conditional skewness and kurtosis.

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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 77.

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Length: 49 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:bfr:banfra:77

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Keywords: GARCH Stock indices Exchange rates Interest rates SNOPT VaR;

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References

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Citations

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Cited by:
  1. Tao Pham Dinh & Yi-Shuai Niu, 2011. "An efficient DC programming approach for portfolio decision with higher moments," Computational Optimization and Applications, Springer, vol. 50(3), pages 525-554, December.
  2. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
  3. Onour, Ibrahim, 2010. "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," MPRA Paper 23332, University Library of Munich, Germany.
  4. Andrei Leonidov & Vladimir Trainin & Alexander Zaitsev & Sergey Zaitsev, 2006. "Market Mill Dependence Pattern in the Stock Market: Asymmetry Structure, Nonlinear Correlations and Predictability," Papers physics/0601098, arXiv.org, revised Jan 2006.
  5. Onour, Ibrahim, 2008. "Forward-Looking Beta Estimates:Evidence from an Emerging Market," MPRA Paper 14992, University Library of Munich, Germany.
  6. Ibrahim Onour, . "Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis," API-Working Paper Series 1002, Arab Planning Institute - Kuwait, Information Center.
  7. Anthony S. Tay & Aamir R. Hashmi, 2004. "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Econometric Society 2004 Far Eastern Meetings 634, Econometric Society.
  8. Chris Brooks & Simon P. Burke & Gita Persand, 2002. "Augoregressive Conditional Kurtosis," ICMA Centre Discussion Papers in Finance icma-dp2002-05, Henley Business School, Reading University.
  9. Ángel León & Gonzalo Rubio & Gregorio Serna, 2004. "Autoregressive Conditional Volatility, Skewness And Kurtosis," Working Papers. Serie AD 2004-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

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